How to remove caption of some subfigures?

The key is syntax. The optional argument of the subfigure macro sets the caption. If you drop it, there won't be any caption. So the solution looks like:

\documentclass{article}
\usepackage{subfigure}
\usepackage[pdftex]{graphicx}

\begin{document}
\begin{figure}[t!]
\centering
\subfigure{
\includegraphics[width=5.2in]{legend.eps}  %legend.eps does not have a caption
}\\
\subfigure[]{
\label{fig:1}
\includegraphics[width=4.8in]{fig1.eps}    %fig1.eps has one
}
\end{figure}
\end{document}